Modeling and forecasting petroleum futures volatility
暂无分享,去创建一个
[1] F. Diebold,et al. Comparing Predictive Accuracy , 1994, Business Cycles.
[2] Richard G. Harris,et al. Applied Time Series Modelling and Forecasting , 2003 .
[3] Peter C. Fusaro. Energy risk management , 1998 .
[4] Ronald W. Masulis,et al. Energy Shocks and Financial Markets , 1996 .
[5] R. Engle. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation , 1982 .
[6] P. Franses,et al. Forecasting stock market volatility using (non‐linear) Garch models , 1996 .
[7] T. Bollerslev,et al. Generalized autoregressive conditional heteroskedasticity , 1986 .
[8] Adrian Pagan,et al. Alternative Models for Conditional Stock Volatility , 1989 .
[9] Heather Mitchell,et al. Generalized asymmetric power ARCH modelling of exchange rate volatility , 2002 .
[10] Nigel Meade,et al. A comparison of the accuracy of short term foreign exchange forecasting methods , 2002 .
[11] J. Peter Ferderer,et al. Oil price volatility and the macroeconomy , 1996 .
[12] L. Glosten,et al. On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks , 1993 .
[13] Perry Sadorsky. Oil price shocks and stock market activity , 1999 .
[14] V. Akgiray. Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts , 1989 .
[15] W. Fuller,et al. Distribution of the Estimators for Autoregressive Time Series with a Unit Root , 1979 .
[16] James D. Hamilton. Time Series Analysis , 1994 .
[17] Pierre Giot,et al. Market risk in commodity markets: a VaR approach , 2003 .
[18] Francis X. Diebold,et al. Elements of Forecasting , 1997 .
[19] Anil K. Bera,et al. Efficient tests for normality, homoscedasticity and serial independence of regression residuals , 1980 .
[20] Chris Brooks,et al. Volatility forecasting for risk management , 2003 .
[21] R. Chou,et al. ARCH modeling in finance: A review of the theory and empirical evidence , 1992 .
[22] J. Zakoian. Threshold heteroskedastic models , 1994 .
[23] Carol Alexander,et al. Market Models: A Guide to Financial Data Analysis , 2001 .
[24] Philippe Artzner,et al. Coherent Measures of Risk , 1999 .
[25] R. Cumby,et al. Testing for market timing ability: A framework for forecast evaluation , 1987 .
[26] James G. MacKinnon,et al. Numerical Distribution Functions for Unit Root and Cointegration Tests , 1996 .
[27] W. Newey,et al. A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelationconsistent Covariance Matrix , 1986 .
[28] P. Phillips. Testing for a Unit Root in Time Series Regression , 1988 .
[29] J. David Cabedo,et al. Estimating oil price ‘Value at Risk’ using the historical simulation approach , 2003 .
[30] Chris Brooks,et al. Model Choice and Value-at-Risk Performance , 2002 .
[31] R. Engle,et al. Multivariate Simultaneous Generalized ARCH , 1995, Econometric Theory.
[32] T. Brailsford,et al. An evaluation of volatility forecasting techniques , 1996 .
[33] Perry Sadorsky. The macroeconomic determinants of technology stock price volatility , 2003 .
[34] Russell P. Robins,et al. Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model , 1987 .
[35] Kiseok Lee,et al. Oil Shocks and the Macroeconomy: The Role of Price Variability* , 1995 .
[36] John Moody,et al. Developments in forecast combination and portfolio choice , 2001 .
[37] William Thomson,et al. Two characterizations of the Raiffa solution , 1980 .
[38] L. Glosten,et al. Economic Significance of Predictable Variations in Stock Index Returns , 1989 .
[39] W. Newey,et al. A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelationconsistent Covariance Matrix , 1986 .
[40] Philippe Jorion,et al. Risk2: Measuring the Risk in Value at Risk , 1996 .
[41] P. Bossaerts,et al. Implementing Statistical Criteria to Select Return Forecasting Models: What Do We Learn? , 1999 .
[42] Philippe Jorion. Value at risk: the new benchmark for controlling market risk , 1996 .
[43] Jun Yu,et al. Forecasting volatility in the New Zealand stock market , 2002 .
[44] K. West,et al. The Predictive Ability of Several Models of Exchange Rate Volatility , 1994 .
[45] Mike K. P. So,et al. Forecasting exchange rate volatility using autoregressive random variance model , 1999 .